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# 本代码由可视化策略环境自动生成 2021年12月4日 11:46
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。


# 回测引擎：初始化函数，只执行一次
def m2_initialize_bigquant_run(context):
    
    # 加载股票指标数据,数据继承自m4模块
    context.indicator_data = context.options['data'].read_df().set_index('date')
    print('indicator_data:', context.indicator_data.head()) 
    # 设置交易费用，买入是万三，卖出是千分之1.3，如果不足5元按5元算
    context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
     # 设置股票数量
    context.stock_num = 30
    
    # 调仓天数,22个交易日大概就是一个月。可以理解为一个月换仓一次
    context.rebalance_days = 22
    
    # 如果策略运行中，需要将数据进行保存，可以借用extension这个对象，类型为dict
    # 比如当前运行的k线的索引，比如个股持仓天数、买入均价
    if 'index' not in context.extension:
        context.extension['index'] = 0
        

# 回测引擎：每日数据处理函数，每天执行一次
def m2_handle_data_bigquant_run(context, data):
    
    # 按每个K线递增
    context.extension['index']  += 1
    
    # 每隔22个交易日进行换仓
    if context.extension['index'] % context.rebalance_days != 0:
        return 
        
    # 日期
    date = data.current_dt.strftime('%Y-%m-%d')
    
    # 买入股票列表
    stock_to_buy = context.indicator_data.loc[date]['instrument'][:context.stock_num]
    
    # 目前持仓列表    
    stock_hold_now = [equity.symbol for equity in context.portfolio.positions]
    # 继续持有股票列表
    no_need_to_sell = [i for i in stock_hold_now  if i in stock_to_buy]
    # 卖出股票列表 
    stock_to_sell = [i for i in stock_hold_now if i not in no_need_to_sell]
    # 执行卖出
    for stock in stock_to_sell:
        if data.can_trade(context.symbol(stock)):
            context.order_target_percent(context.symbol(stock), 0)
            
    # 如果当天没有买入就返回
    if len(stock_to_buy) == 0:
        return
    
    # 等权重
    weight = 1 / len(stock_to_buy)
    # 执行买入
    for  cp in stock_to_buy:
        if data.can_trade(context.symbol(cp)):
            context.order_target_percent(context.symbol(cp), weight)
# 回测引擎：准备数据，只执行一次
def m2_prepare_bigquant_run(context):
    pass

# 回测引擎：每个单位时间开始前调用一次，即每日开盘前调用一次。
def m2_before_trading_start_bigquant_run(context, data):
    pass


m3 = M.instruments.v2(
    start_date='2019-01-01',
    end_date='2021-11-26',
    market='CN_STOCK_A',
    instrument_list=''
)

m5 = M.input_features.v1(
    features="""pb_lf_0
pe_ttm_0
amount_0
fs_roe_ttm_0"""
)

m1 = M.general_feature_extractor.v7(
    instruments=m3.data,
    features=m5.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m6 = M.sort.v4(
    input_ds=m1.data,
    sort_by='fs_roe_ttm_0',
    group_by='date',
    keep_columns='--',
    ascending=True
)

m4 = M.filter.v3(
    input_data=m6.sorted_data,
    expr='pb_lf_0 < 2 & pe_ttm_0 < 20 & amount_0 > 0 & pb_lf_0 > 0 & pe_ttm_0 > 0',
    output_left_data=False
)

m2 = M.trade.v4(
    instruments=m3.data,
    options_data=m4.data,
    start_date='',
    end_date='',
    initialize=m2_initialize_bigquant_run,
    handle_data=m2_handle_data_bigquant_run,
    prepare=m2_prepare_bigquant_run,
    before_trading_start=m2_before_trading_start_bigquant_run,
    volume_limit=0.025,
    order_price_field_buy='open',
    order_price_field_sell='open',
    capital_base=1000000,
    auto_cancel_non_tradable_orders=True,
    data_frequency='daily',
    price_type='后复权',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark=''
)

[2021-12-04 11:43:53.547462] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-12-04 11:43:53.566463] INFO: moduleinvoker: 命中缓存

[2021-12-04 11:43:53.568304] INFO: moduleinvoker: instruments.v2 运行完成[0.020859s].

[2021-12-04 11:43:53.573508] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-12-04 11:43:53.586109] INFO: moduleinvoker: 命中缓存

[2021-12-04 11:43:53.588675] INFO: moduleinvoker: input_features.v1 运行完成[0.01517s].

[2021-12-04 11:43:53.701033] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-12-04 11:43:57.711948] INFO: 基础特征抽取: 年份 2018, 特征行数=210561

[2021-12-04 11:44:01.138151] INFO: 基础特征抽取: 年份 2019, 特征行数=884867

[2021-12-04 11:44:17.910115] INFO: 基础特征抽取: 年份 2020, 特征行数=945961

[2021-12-04 11:44:22.365756] INFO: 基础特征抽取: 年份 2021, 特征行数=945333

[2021-12-04 11:44:23.992920] INFO: 基础特征抽取: 总行数: 2986722

[2021-12-04 11:44:24.002270] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[30.301255s].

[2021-12-04 11:44:24.009281] INFO: moduleinvoker: sort.v4 开始运行..

[2021-12-04 11:44:33.126036] INFO: moduleinvoker: sort.v4 运行完成[9.116751s].

[2021-12-04 11:44:33.135276] INFO: moduleinvoker: filter.v3 开始运行..

[2021-12-04 11:44:33.153098] INFO: filter: 使用表达式 pb_lf_0 < 2 & pe_ttm_0 < 20 & amount_0 > 0 & pb_lf_0 > 0 & pe_ttm_0 > 0 过滤

[2021-12-04 11:44:34.425707] INFO: filter: 过滤 /data, 462739/0/2986722

[2021-12-04 11:44:34.471715] INFO: moduleinvoker: filter.v3 运行完成[1.336423s].

[2021-12-04 11:44:36.229710] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-12-04 11:44:36.235272] INFO: backtest: biglearning backtest:V8.6.0

[2021-12-04 11:44:36.236528] INFO: backtest: product_type:stock by specified

[2021-12-04 11:44:36.332003] INFO: moduleinvoker: cached.v2 开始运行..

[2021-12-04 11:44:49.300235] INFO: backtest: 读取股票行情完成:3935729

[2021-12-04 11:44:56.834978] INFO: moduleinvoker: cached.v2 运行完成[20.502985s].

[2021-12-04 11:45:01.203844] INFO: algo: TradingAlgorithm V1.8.5

[2021-12-04 11:45:02.527820] INFO: algo: trading transform...

[2021-12-04 11:45:10.406992] INFO: Performance: Simulated 705 trading days out of 705.

[2021-12-04 11:45:10.408465] INFO: Performance: first open: 2019-01-02 09:30:00+00:00

[2021-12-04 11:45:10.409775] INFO: Performance: last close: 2021-11-26 15:00:00+00:00

[2021-12-04 11:45:18.750327] INFO: moduleinvoker: backtest.v8 运行完成[42.520621s].

[2021-12-04 11:45:18.752020] INFO: moduleinvoker: trade.v4 运行完成[44.272706s].

indicator_data:               amount_0  fs_roe_ttm_0  instrument   pb_lf_0   pe_ttm_0
date                                                                 
2018-10-08  81723693.0        3.8235  601898.SHA  0.764548  19.996084
2018-10-08  25674450.0        3.9840  000698.SZA  0.762213  19.132044
2018-10-08  25748423.0        4.1403  300158.SZA  0.752570  18.176720
2018-10-08  19215739.0        4.2376  600894.SHA  0.721665  17.030197
2018-10-08  44271809.0        4.3718  600811.SHA  0.710191  16.182467

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